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"Pricing American options with least squares Monte Carlo on GPUs."

Massimiliano Fatica, Everett H. Phillips (2013)

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DOI: 10.1145/2535557.2535564

access: closed

type: Conference or Workshop Paper

metadata version: 2018-11-06

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Massimiliano Fatica, Everett H. Phillips:
Pricing American options with least squares Monte Carlo on GPUs. WHPCF@SC 2013: 5:1-5:6

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